Volatility of a financial time series has become a fertile area for research during last decades. Global financial meltdowns have massive shock on different sectors as well as on scripts returns. The objective of this paper is to study empirically the volatility pattern of NSE listed computer software and multimedia scripts. This study applies ARCH, GARCH, E-GARCH models provides the evidence of the persistence of time varying asymmetric volatility. Main findings suggest that time varying volatility behaviour of Indian stock market may be due to recent global financial meltdown which is originated from US sub-prime crisis. Also effect captured by different models show that negative shocks have significant effect on conditional volatility.

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Keywords: Time Series, Asymmetric Volatility, Conditional Volatility, Financial Meltdown.

JEL Classification: C32, C53, G28.